Narrow search
Showing 1 - 10 of 657,616
Cover Image
Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016
chapter provides a unification of SVARs, FAVARs, and structural DFMs and shows both in theory and through an empirical …
Persistent link: https://www.econbiz.de/10014024278
Cover Image
Recovering stars in macroeconomics
Buncic, Daniel; Pagan, Adrian R.; Robinson, Tim - 2023
Persistent link: https://www.econbiz.de/10014490398
Cover Image
Recovering stars in macroeconomics
Buncic, Daniel; Pagan, Adrian R.; Robinson, Tim - 2023
Persistent link: https://www.econbiz.de/10014432242
Cover Image
Factor structural time series models for official statistics with an application to hours worked in Germany
Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015
We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...
Persistent link: https://www.econbiz.de/10011309972
Cover Image
Forecasting us commercial property price indexes using dynamic factor models
Minne, Alex van de; Francke, Marc; Geltner, David - In: Journal of real estate research : JRER ; a publication … 44 (2022) 1, pp. 29-55
Persistent link: https://www.econbiz.de/10013167610
Cover Image
Macroeconomic nowcasting using Google probabilities
Koop, Gary; Onorante, Luca - 2019
Persistent link: https://www.econbiz.de/10012244142
Cover Image
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Cover Image
Autocorrelation in an unobservable global trend : does it help to forecast market returns?
Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169
Persistent link: https://www.econbiz.de/10011713553
Cover Image
Staying positive : challenges and solutions in using pure multiplicative ETS models
Svetunkov, Ivan; Boylan, John Edward - In: IMA journal of management mathematics 35 (2024) 3, pp. 403-425
Persistent link: https://www.econbiz.de/10014634207
Cover Image
Analysis forecasting of gasoline prices in some ASEAN countries by using state space representation on vector autoregressive model
Mustofa Usman; Komarudin, M.; Nurhanurawati, Nurhanurawati - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 194-202
Persistent link: https://www.econbiz.de/10014433779